Even with it modded, playing a game from a different region runs the risk of bricking your console. Some games will attempt to update your console before it can play. If your playing a NTSC or PAL game the update will not match the console and it can brick it.

Doesnt have to be a wiikey by the way. In fact if its an up to date Wii, it probably wont take a Wiikey.
Pretty much all mod-chips have the ability to play out of region disks, some better than the Wiikey.

It is possible to cause problems to the console if you update the firmware using that from another region, but as long as you keep your wii updated, and do some research before sticking any old disk in there, you should have no problems. I haven't.

Another (Cheaper) option is to use an unmodded wii, and just use the Datel Freeloader. That way you could use out of region games on your console. Its not perfect, and may be 'broken' at some point by Nintendo, but its an option.

You could also install the "homebrew channel" via the twilight princess hack ( although that means you would need to have Zelda for the Jap console in the first place) and run a piece of homebrew that lets you play games from any region, the nice, cheap way of doing things :)